Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0671 |
| Annualized Std Dev | 0.1372 |
| Annualized Sharpe (Rf=0%) | 0.4892 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3106.0000 |
| NAs | 1.0000 |
| Minimum | -0.1622 |
| Quartile 1 | -0.0029 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0039 |
| Maximum | 0.1417 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0086 |
| Skewness | -0.9757 |
| Kurtosis | 70.9758 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0063 |
| Gain Deviation | 0.0065 |
| Loss Deviation | 0.0076 |
| Downside Deviation (MAR=210%) | 0.0112 |
| Downside Deviation (Rf=0%) | 0.0062 |
| Downside Deviation (0%) | 0.0062 |
| Maximum Drawdown | 0.2496 |
| Historical VaR (95%) | -0.0110 |
| Historical ES (95%) | -0.0194 |
| Modified VaR (95%) | -0.0038 |
| Modified ES (95%) | -0.0038 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-12-01 | 2009-03-09 | 2009-09-09 | -0.2496 | 195 | 67 | 128 |
| 2020-02-13 | 2020-03-23 | 2020-08-12 | -0.2295 | 126 | 27 | 99 |
| 2011-05-02 | 2011-10-03 | 2012-03-19 | -0.1378 | 223 | 108 | 115 |
| 2018-01-29 | 2018-12-24 | 2019-11-01 | -0.1369 | 445 | 229 | 216 |
| 2008-11-14 | 2008-11-21 | 2008-11-28 | -0.1345 | 9 | 6 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -16.2 | 1.1 | -15.3 |
| 2009 | -0.7 | -0.5 | 0.9 | 0 | 1.3 | 0.7 | 0.4 | -1.1 | -1.6 | -1.6 | 1 | -0.5 | -1.6 |
| 2010 | 1.1 | 0.8 | 0.7 | -0.8 | -0.8 | 0 | 0.3 | 1.4 | 0.3 | 0 | 1.2 | 0.1 | 4.2 |
| 2011 | 0.9 | -0.7 | 0.4 | 0.3 | -1.1 | 0.8 | -0.3 | -0.5 | -1.2 | -1.5 | -0.3 | -0.1 | -3.4 |
| 2012 | 0.6 | 0.4 | 0.2 | 0.5 | -1.4 | 1.8 | -0.2 | 0.2 | 0.1 | 0.7 | 0 | 1 | 3.9 |
| 2013 | 0.5 | 0.1 | -0.4 | -0.6 | -0.7 | 0.5 | 0.6 | -0.5 | 0.4 | -0.2 | 0 | 0.2 | 0 |
| 2014 | -0.6 | 0 | 0.5 | 0.2 | 0 | 0.5 | 0.1 | 0.2 | -0.8 | 0.8 | -0.6 | -0.5 | -0.3 |
| 2015 | -0.9 | 0.1 | 0.4 | 0.6 | -0.1 | 0.4 | 0.3 | -2 | 0.2 | -0.2 | 0.7 | -0.5 | -1.2 |
| 2016 | 0 | 1.4 | -0.2 | -0.3 | -0.1 | 0.3 | -0.3 | 0.2 | 0.4 | -0.4 | -0.2 | 0.2 | 1 |
| 2017 | 0.2 | 0.7 | -0.1 | 0 | 0.5 | 0.1 | 0.3 | 0 | 0.4 | 0.1 | -0.2 | 0 | 2 |
| 2018 | -0.3 | -0.5 | 0.8 | 0 | 0.5 | 0.4 | -0.2 | 0 | 0.2 | 0.9 | 0.1 | 0.5 | 2.2 |
| 2019 | -0.1 | 0.2 | 0.7 | -0.6 | -0.4 | 0.4 | -0.1 | 0.3 | -0.6 | 0.6 | -0.3 | 0.3 | 0.5 |
| 2020 | -0.9 | -0.1 | -2.2 | -1.7 | 0.8 | 0.2 | -0.2 | 0.5 | 0.4 | -0.5 | 0.7 | -0.1 | -3.1 |
| 2021 | 1 | 1.4 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-11 24.0 SPY 89.8 -0.0309 -0.106 -0.114 -0.302 -0.375 -0.266 -0.146 GLD 72.0 -0.0208 -0.0454
2 2008-11-12 25.4 SPY 85.8 -0.044 -0.108 -0.140 -0.338 -0.420 -0.304 -0.184 GLD 70 -0.0285 -0.0385
3 2008-11-14 23.9 SPY 86.6 -0.0499 -0.0771 -0.0763 -0.325 -0.405 -0.300 -0.186 GLD 73.3 0.0159 0.011
4 2008-11-17 24.6 SPY 85.5 -0.0133 -0.0773 -0.083 -0.327 -0.414 -0.306 -0.190 GLD 72.6 -0.0089 -0.0126
5 2008-11-18 23.2 SPY 87.1 0.0188 -0.03 -0.119 -0.317 -0.394 -0.295 -0.170 GLD 72.5 -0.0019 0.0064
6 2008-11-19 23.1 SPY 81.5 -0.0641 -0.0503 -0.150 -0.362 -0.436 -0.346 -0.215 GLD 72.3 -0.0034 0.0323
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
